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Theory of Financial Risk and Derivative Pricing
Taschenbuch von Jean-Philippe Bouchaud (u. a.)
Sprache: Englisch

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Beschreibung
The substantially expanded second edition of this ground-breaking book summarizes the recent theoretical developments in statistical tools to measure financial markets. A classic reference for graduate students and researchers working in econophysics, and professionals in the analytical markets.
The substantially expanded second edition of this ground-breaking book summarizes the recent theoretical developments in statistical tools to measure financial markets. A classic reference for graduate students and researchers working in econophysics, and professionals in the analytical markets.
Über den Autor
Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Écoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996.
Inhaltsverzeichnis
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
Details
Erscheinungsjahr: 2019
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521741866
ISBN-10: 0521741866
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Bouchaud, Jean-Philippe
Potters, Marc
Hersteller: Cambridge University Press
Maße: 254 x 178 x 22 mm
Von/Mit: Jean-Philippe Bouchaud (u. a.)
Erscheinungsdatum: 02.04.2019
Gewicht: 0,75 kg
Artikel-ID: 101685129
Über den Autor
Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Écoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996.
Inhaltsverzeichnis
Foreword; Preface; 1. Probability theory: basic notions; 2. Maximum and addition of random variables; 3. Continuous time limit, Ito calculus and path integrals; 4. Analysis of empirical data; 5. Financial products and financial markets; 6. Statistics of real prices: basic results; 7. Non-linear correlations and volatility fluctuations; 8. Skewness and price-volatility correlations; 9. Cross-correlations; 10. Risk measures; 11. Extreme correlations and variety; 12. Optimal portfolios; 13. Futures and options: fundamental concepts; 14. Options: hedging and residual risk; 15. Options: the role of drift and correlations; 16. Options: the Black and Scholes model; 17. Options: some more specific problems; 18. Options: minimum variance Monte-Carlo; 19. The yield curve; 20. Simple mechanisms for anomalous price statistics; Index of most important symbols; Index.
Details
Erscheinungsjahr: 2019
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
ISBN-13: 9780521741866
ISBN-10: 0521741866
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Bouchaud, Jean-Philippe
Potters, Marc
Hersteller: Cambridge University Press
Maße: 254 x 178 x 22 mm
Von/Mit: Jean-Philippe Bouchaud (u. a.)
Erscheinungsdatum: 02.04.2019
Gewicht: 0,75 kg
Artikel-ID: 101685129
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